July Rates Recap

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11 Jul 2017
By CME Group
Topics: Interest Rates

Ultra 10 Surpasses 30 Million Contracts in 18 Months

50 new participants in 2017 and over 400 total
Block fee reduced to match the all-in rate for pit transactions through 2017
Average book depth +60% vs Q1, with 150 contracts at the top of book and over 1,000 contracts at the top 3 levels
Average top of book spread is 0.6/32nd (0.162 bps), the tightest bid/ask spread (in basis points) of all the Treasury futures
Record open interest of 396K on July 3

Wednesday Options Offering Deep Liquidity and Timely Expirations

Liquidity has developed quickly in Wednesday Treasury options, with over 217K contracts traded in 5 weeks, including 42K contracts on June 14 ahead of the FOMC statement.

Choose from 10 option expirations listed on each Treasury product at any given time
Friday weeklies remain highly active with Q2 ADV of 136K, +61% YoY
81% of Treasury options traded electronically in June

Treasury Expiration Calendar

Strong Liquidity during European and Asian Trading Hours

With over 1.65M contracts traded daily during European and Asian hours, CME Globex is the source for interest rate liquidity across all time zones:

Product	Non-RTH ADV	% YoY	% of Global
Eurodollar futures	615K	+16%	22%
Eurodollar options	136K	+46%	23%
Fed Fund futures	47K	+108%	19%
Treasury futures	713K	+14%	21%
Treasury options	110K	+36%	19%

Data YTD as of June 28. RTH (Regular Trading Hours): 07:00 - 16:00 CT.

Data through June 30 2017, unless otherwise specified.

Fed Fund Futures

Record 907K contracts traded on June 14 around the FOMC meeting. YTD ADV is 233K, +78% YoY.

Record Open Interest

Interest Rate Futures & Options: Record 79M contracts on June 15

Eurodollar Futures & Options: Record 62M contracts on June 15

Open Interest Heatmap

Breadth of Participation Reaches New Highs in TY and UB

Large Open Interest Holders in 10-Year (TY) and Ultra T-Bond (UB) futures reached record levels of 404 and 115, respectively, in the June 20 and 27 CFTC reports.

Commitment of Traders Tool

MAC Swaps ICS

Based on customer demand, we have added an inter-commodity spread between 5-Year and 10-Year MAC Swap futures, enabling new curve trading opportunities and relative value trading.

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CME Direct Block Entry

Beginning July 17, all Block trades and EFRP trades must be submitted via CME Direct or CME ClearPort. Please ensure you have confirmed with your brokers that you have completed the necessary set-up for this.

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